Fast Conformal Prediction using Conditional Interquantile Intervals
arXiv:2601.02769v1 Announce Type: new Abstract: We introduce Conformal Interquantile Regression (CIR), a conformal regression method that efficiently constructs near-minimal prediction intervals with guaranteed coverage. CIR leverages black-box machine learning models to estimate outcome distributions through interquantile ranges, transforming these estimates into compact prediction intervals while achieving approximate conditional coverage. We further propose CIR+ (Conditional Interquantile Regression with More Comparison), which enhances CIR by incorporating a width-based selection rule for interquantile intervals. This refinement yields narrower prediction intervals while […]